The application of sample entropy in stock stability analysis
Author(s): SHEN Wen-hao, QIAO Kan-kun, LU Zhi-ming
Pages: 50-56
Year: 2014 Issue: 7
Journal: Journal of Shandong University(Natural Science)
Keyword: the sample entropy; stock index; stability analysis;
Abstract: By means of sample entropy, the logarithmic price difference series of the Shanghai Composite Index, the Shenzhen Component Index, the Hang Seng Index, and the Dow Jones Index are analyzed.It is proved that the entropy of stock is related with market stability.When the amount of currency in circulation increased, the entropy of stock in-creased as well, the market becomes more mature.Further analysis of domestic and foreign financial index indicates that when the market is under control, even if the amount of currency in circulation increased, the entropy will still decrease sharply, the market degrades.Through horizontal comparison of the entropy of different time scale, characteristics of the short-term and long-term market are revealed.
Pages: 50-56
Year: 2014 Issue: 7
Journal: Journal of Shandong University(Natural Science)
Keyword: the sample entropy; stock index; stability analysis;
Abstract: By means of sample entropy, the logarithmic price difference series of the Shanghai Composite Index, the Shenzhen Component Index, the Hang Seng Index, and the Dow Jones Index are analyzed.It is proved that the entropy of stock is related with market stability.When the amount of currency in circulation increased, the entropy of stock in-creased as well, the market becomes more mature.Further analysis of domestic and foreign financial index indicates that when the market is under control, even if the amount of currency in circulation increased, the entropy will still decrease sharply, the market degrades.Through horizontal comparison of the entropy of different time scale, characteristics of the short-term and long-term market are revealed.
Related Articles